Please note that there must be at least invalid shortcut on the desktop to be able to reproduce the problem. Interestingly, native File Open/Save dialogs in Windows apps do not trigger such messages. It's a question why there should be any reason for Java FileChooser to examine the validity of shortcuts.

This is a new behavior in tiger-beta2. I suspect that it may be related to the recent fix of #4356160, but I'm not sure.